I have opinions on when the various options (from the other answers) should be used.

(1) Leave a well-thought-out comment describing why you think the question should be reopened.

This option should be used if you feel that the community simply made a wrong or misinformed decision. You can point out specifically why you feel they erred. Then leave it to the community to decide.

(2) Contact a Moderator

I would only do this if I felt that there were some shenanigans at play; not when I simply feel that the question should not have been closed. It's not a moderator's job to act as the whole community except in cases where the community cannot (lack of functionality) or will not act accordingly. See above.

(3) Post here on meta.SO with a link to the question.

I, personally, would not consider doing this as a way to whine to a larger audience when I simply did not get my way in the voting (or not voting) process. I would only do this only the system has somehow egregiously failed this question; like if I discovered some weakness or bug in the community system that the developers need to consider. A link to the question would serve as an example of the anomaly in action, while asking the powers-that-be to correct the question-become-victim. Meta.SO is not (or shouldn't be) a place to whine about not getting your way in specific cases.

You can also use the comments on the question to ask why it was closed, but I would not complain in the comments. There I would contact a moderator.

Questions can be reopened by user voting for it, just like closing. That is why I would use the comments, you would be guided about why it was closed and how you can change the question to have it reopened.

Complaining is pointless, regardless of where you do it. You should strive to provide justification for the question to be open, whether via comments on the question itself, a message to a moderator, or a post here.
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Shog9♦Aug 28 '09 at 17:00

Here at MSO, this is the place to bring up concerns just like this question.

Email team@stackoverflow.com for major issues. That is only seen by the people that develop and run the site.

Note: Never come in here to just rant and be careful with your tone in your question/concern. You have to be civil about everything. People are much more understanding/willing to help you if you are calm and respectful. MSO has also been known to have a little fun once in awhile so don't take things personal.